Restoration of well-posedness of infinite-dimensional singular ODE's via noise

DOI10.1007/S11118-023-10069-6arXiv1903.05863OpenAlexW2921834262MaRDI QIDQ6201830FDOQ6201830

Authors: David R. Baños, Martin Bauer, Thilo Meyer-Brandis, F. Proske 

Publication date: 21 February 2024

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with singular drift vector field and additive noise in the Euclidean space to the case of infinite-dimensional state spaces. The regularizing driving noise in our equation is chosen to be a locally non-H"{o}lder continuous Hilbert space valued process of fractal nature, which does not allow for the use of classical construction techniques for strong solutions from PDE or semimartingale theory. Our approach, which does not resort to the Yamada-Watanabe principle for the verification of pathwise uniqueness of solutions, is based on Malliavin calculus.

Full work available at URL: https://arxiv.org/abs/1903.05863

zbMATH Keywords

Malliavin calculusfractional Brownian motionirregular drift coefficientstrong solutions of SDEs\(L^2\)-compactness criterion

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Regularization by noise (60H50)

Cites Work

• The Malliavin Calculus and Related Topics
• The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the uniqueness of solutions of stochastic differential equations
• Differentiable measures and the Malliavin calculus
• Stochastic analysis of the fractional Brownian motion
• Strong solutions of stochastic equations with singular time dependent drift
• Regularization of differential equations by fractional noise.
• On the theorem of T. Yamada and S. Watanabe
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Averaging along irregular curves and regularisation of ODEs
• Uniqueness of Solutions of Stochastic Differential Equations
• Random perturbation of PDEs and fluid dynamic models. École d'Été de Probabilités de Saint-Flour XL -- 2010
• Construction of strong solutions of SDE's via Malliavin calculus
• On solutions to stochastic differential equations with discontinuous drift in Hilbert space
• Existence of strong solutions for Itô's stochastic equations via approximations
• Ecole d'été de probabilités de Saint-Flour XIX, France, du 16 août au 2 septembre 1989
• On Stochastic Differential Equations with Locally Unbounded Drift
• Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift
• Title not available (Why is that?)
• Sobolev differentiable stochastic flows for SDEs with singular coefficients: applications to the transport equation
• On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
• On the Strong Solutions of Stochastic Differential Equations
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
• Joint continuity of Gaussian local times
• A Gaussian inequality for expected absolute products
• Title not available (Why is that?)
• Strong solutions of mean-field stochastic differential equations with irregular drift
• Limit theorem for countable systems of stochastic differential equations

This page was built for publication: Restoration of well-posedness of infinite-dimensional singular ODE's via noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6201830)